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V-Lab

Plastron Precision Spline ILLIQ Liquidity Analysis

Illiquidity prediction for Monday, July 27th, 2026

1 Day

4,476.44

increased by 90.07

1 Week

4,437.64

increased by 51.27

1 Month

3,467.73

decreased by 918.64

Analysis last updated: Sunday, July 26, 2026 at 07:04 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of Plastron Precision ILLIQ-SMEM

News Impact Curve

How returns affect tomorrow's illiquidity

Illiquidity Forecast

How illiquidity evolves over time

Parameter Estimates

Oct 16, 2003 to Jul 24, 2026

Model Insight

With persistence 0.996, illiquidity shocks have a half-life of 190 trading days (~0.8 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.

μ

ILLIQ-SMEM Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

1.4403
6.40***
α

ARCH

Response to squared shocks

0.1998
9.50***
β

GARCH

Volatility persistence

0.7965
38.58***
γi Spline Coefficients
K=9
γ1-3.9928
-1.78*
γ28.6637
1.73*
γ3-6.4513
-1.62
γ41.1967
0.99
γ51.1600
3.99***
γ6-0.8374
-4.01***
γ70.2466
1.41
γ80.2402
1.05
γ9-0.4727
-1.27

Persistence:

0.996

Half-life:

190 days